Time‐Varying Risk–Return Trade‐off in the Stock Market
研究发现股市风险收益权衡与消费财富比率（CAY）高度相关，控制CAY后风险收益权衡为正且恒定，且条件市场方差经CAY调整后能解释股票收益的横截面差异，支持有限股市参与模型。
We uncover a strong comovement of the stock market risk–return trade‐off with the consumption–wealth ratio (CAY). The finding reflects time‐varying investment opportunities rather than countercyclical aggregate relative risk aversion. Specifically, the partial risk–return trade‐off is positive and constant when we control for CAY as a proxy for investment opportunities. Moreover, conditional market variance scaled by CAY is negatively priced in the cross‐section of stock returns. Our results are consistent with a limited stock market participation model, in which shareholders require an illiquidity premium that increases with CAY, in addition to the risk premium that is proportional to conditional market variance.